CLOSED-END FUND PREMIA AND RETURNS - IMPLICATIONS FOR FINANCIAL MARKET EQUILIBRIUM

• 成果类型: Article
• 署名作者: PONTIFF, J
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)00800-G
• 发表日期: 1995
• 页码: 341-370
• 关键词: closed-end fund; discount; Abnormal return; Book-to-market; market efficiency

摘要

This paper examines the relation between closed-end fund premia and returns. Additional evidence is provided on Thompson's (1978) finding that fund premia are negatively correlated with future returns. Funds with 20% discounts have expected twelve-month returns that are 6% greater than nondiscounted funds. This correlation is attributed to premium mean-reversion, not to anticipated future portfolio performance. Economically motivated explanations do not account for this effect.